A model for the optimal asset liability management for insurance companies (Articolo in rivista)

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Label
  • A model for the optimal asset liability management for insurance companies (Articolo in rivista) (literal)
Anno
  • 2003-01-01T00:00:00+01:00 (literal)
Alternative label
  • Bernaschi M., Briani M., Gozzi F., Papi M., Sbaraglia S. (2003)
    A model for the optimal asset liability management for insurance companies
    in International journal of theoretical and applied finance
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Bernaschi M., Briani M., Gozzi F., Papi M., Sbaraglia S. (literal)
Pagina inizio
  • 227 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 6 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • IAC - Istituto per le applicazioni del calcolo \"Mauro Picone\" (literal)
Titolo
  • A model for the optimal asset liability management for insurance companies (literal)
Abstract
  • This paper is devoted to the formulation of a model for the optimal asset-liability man- agement for insurance companies. We focus on a typical guaranteed investment con- tract, by which the holder has the right to receive after T years a return that cannot be lower than a minimum predened rate rg. We take account of the rules that usually are imposed to insurance companies in the management of this funds as reserves and solvency margin. We formulate the problem as a stochastic optimization problem in a discrete time setting comparing this approach with the so-called hedging approach. The utility function to maximize depends on various parameters including specific goals of the company management. Some preliminary numerical results are reported to ease the comparison between the two approaches. (literal)
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